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Counterexample where X is not in the Lebesgue linear space.

  1. Sep 30, 2012 #1
    Example where X is not in the Lebesgue linear space.

    1. The problem statement, all variables and given/known data

    I'm trying to find an example where [itex] \lim_{n \to +\infty} P(|X|>n) = 0 [/itex] but [itex]X \notin L[/itex] where [itex]L[/itex] is the Lebesgue linear space.

    Relevant equations:

    [itex]X[/itex] is a random variabel, [itex]P[/itex] is probability. [itex]I[/itex] is indicator function.

    The attempt at a solution

    [itex]∫|X|I(|X|>n)dp + ∫|X|I(|X|≤n)dp = ∫|X|dp [/itex]

    [itex]∫nI(|X|>n)dp + ∫|X|I(|X|)dp ≤ ∫|X|dp[/itex]

    Suppose [itex]∫I(|X|>n)dp = 1/(n ln n) [/itex]
    Clearly the hypothesis is satisfied because [itex] \lim_{n \to +\infty} P(|X|>n) = \lim_{n \to +\infty} ∫I(|X|>n)dp = \lim_{n \to +\infty} 1/( ln n) = 0[/itex]
    But I'm not sure how to conclude [itex]∫|X|dp = ∞[/itex]
     
    Last edited: Sep 30, 2012
  2. jcsd
  3. Sep 30, 2012 #2
    This is due tomorrow. Please help!
     
  4. Sep 30, 2012 #3
    Does geometric random variable work?
     
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